@stephenb Thanks! The path is actually correct when using a zip file setup. 
@ikakavas Hmm, I tried both on a separate physical Windows machine (and got the above error) and on a Parallels VM (on Mac). The latter gives me the following error.
curl: (77) schannel: next InitializeSecurityContext failed: SEC_E_UNTRUSTED_ROOT (0x80090325) - The certificate chain was issued by an authority that is not trusted.
Both have Internet access in general (including through curl). I also tried disabling the Windows firewall, but it made no difference.
I couldn't find any trace of that option anywhere (including in the man page). Maybe it has been replace by --insecure and -k? Otherwise I must be missing something.